bpo-39877: PyGILState_Ensure() don't call PyEval_InitThreads() (GH-18891)

PyGILState_Ensure() doesn't call PyEval_InitThreads() anymore when a
new Python thread state is created. The GIL is created by
Py_Initialize() since Python 3.7, it's not needed to call
PyEval_InitThreads() explicitly.

Add an assertion to ensure that the GIL is already created.